Anyone in your group has to be on the same story mission as you, otherwise they won't get credit for those story missions. Be sure that they have all the mission objectives caught up to your point too- if you have done some objectives for that mission while your friends haven't, when you turn that mission in other people in your group will not get credit for that missions AND will be ineligible to get credit for future story missions. Make sure their completely caught up to you.
When you're making an online session, your friends should be able to see what story mission your selected character is currently on- that should help them out.